Do Public Real Estate Returns Really Lead Private Returns?

Martin Hoesli*, Elias Oikarinen, Camilo Serrano

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

23 Citations (Scopus)


In this article, the authors use sector-level unlevered real estate investment trust (REIT) and direct real estate data to study whether the "escrow lag" in the recording of private market prices could explain the observed lead lag relationship between REITs and direct real estate markets. They find evidence of REIT returns leading private returns in the office and retail sectors even after catering for a 90-day escrow lag. These lead lag relationships are due to the slow reaction of private market returns to shocks in REIT returns, the risk premium, and consumer sentiment. In contrast, the authors do not observe such a lead lag relationship in the apartment and industrial sectors. The findings have implications regarding portfolio allocation, return predictability, and recommended shifts in the allocation between private and public real estate during crisis periods.

Original languageEnglish
Pages (from-to)105-117
Number of pages13
JournalJournal of Real Estate Portfolio Management
Issue number6
Early online date30 Sept 2015
Publication statusPublished - Sept 2015




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